India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	13.3978	5.06***
αARCH	0.2455	0.79
βGARCH	0.2283	0.75
νDF	19.2873	0.11

Parameter	Value	t-statistic
ω const Unconditional variance weight	13.3978	5.06***
α ARCH Response to squared shocks	0.2455	0.79
β GARCH Volatility persistence	0.2283	0.75
ν DF Student-t tail thickness	19.2873	0.11

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Victory Electric Vehicles International Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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